Registered User
Joined: 11/26/2004
Posts: 68
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I was reading another topic about trading for a living (I don't but I thought I could market it as a successful weight loss program, "Trade your way to the slim, sleek body you have always desired".) Anyhow I thought it would be nice to comment on the results of some research I am doing with TC2000. Maybe others will as well, we'll see.
Let me set this up: First this project was begun on Friday, Oct 15, 2004, so it is two months old. It has all been conducted realtime. Some of the trades I have taken in an actual account but the purpose was to test the system. The aim of the project was to identify (thru price action only) stocks that would go up 5% before they went down 10% from their entry price. Daily and weekly price bars were considered but never on the same stock at the same time.
Here are the statistics:
As of Dec 13th 70 trades have been closed. 69 wins and 1 loss for a profit of 16,559.53. Trades assumed trading in 5000 dollar blocks. A profit would yield roughly $220 after commissions and a loss would cost $530 after comm. Occasionally their would be gap fills that would change those average numbers. When LEAPS were used instead of the stock the same formula ws followed entering the option at the ask and selling at the bid and trading in $5000 blocks. The results of the LEAPS trades are as follows: 42 wins and 1 loss (not every stock selected had a LEAP option available.) with a profit of $45,543.68 with comm of $50/stock allowed.
Presently there are 24 open stock trades and 17 open option positions. All these trades were made forward and prices reflect actual realtime fills in the equities markets.
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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Thanks for sharing this. It sounds like an interesting project. I'm sure many would like to have you elaborate a bit concerning how you're identifying the stocks.
At the very least, I suspect you've started an interesting discussion, and I would suspect that others will chime in.
- Doug
Teaching Online!
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Registered User
Joined: 11/26/2004
Posts: 68
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I hope so. TC2000 was essential in performing this research. It's capability of custom indicators that can scan a watchlist and deliver sorted results saves literally hours of chart browsing. The watchlist is evaluated after the close of every market day and all valid signals are taken. The watchlist I use includes 1081 stocks including all equities that have LEAPS (at least all the ones I know). All the stocks have options of one kind or another. Stock price must be at least $10 on a closing basis to be included. There is a practical upper limit of $5000 per share. All these stocks are bought and sold as limit orders to control entry costs. As a result not every signal results in a trade because the market never trades at the entry price. There have been 39 valid signals that did not receive fills. Signals from daily bars remain in the market the next market day following the signal. Signals taken from weekly bars remain in the market for one calendar week only. Most weekly bars that fill do so the first day but a few might take two or three days. All stocks are part of the TC2000 database and are available for purchase electronically without the assistance of a broker.
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Registered User
Joined: 11/26/2004
Posts: 68
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Just an update. As of the close of today's trading the win loss record is now 71-1.
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Registered User
Joined: 10/7/2004
Posts: 799
Location: Duluth, GA
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I'm not sure if it is OK to mention this here - ps forgive me if I am breaking the rules for mentioning it ... but ...
If you are interested in doing backtesting without having to wait through realtime to see the results, and if you want to use TC's PCF-eze, and you want to incorporate Portfolio Money Management rules, then you really should check out TC-Companion (a third-party product that requires a TC subscription). You can get more info at www.Traids.com
Main limitation is that it only works on daily or weekly bars. I'm sure that it will be modified to handle intraday bars, if Worden provides that capability through its Developer's Kit.
Btw, I am *not* a reseller of the product ... I am just a satisfied user.
Jim Dean
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Registered User
Joined: 11/26/2004
Posts: 68
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Well the week ended with a bang today. My research record went to 72-2. It was curious. Pfizer (PFE) was in my portfolio and got hammered on the open and exited for a 11 or 12 per cent loss. At the same time I was also in OSIP which vaulted up on the open. As it turns out I owned both in the form of options in my real money account . PFE lost about 45% and OSIP made 133%. Such is life, bitter and sweet.
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Registered User
Joined: 10/17/2004
Posts: 43
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I would second the mention of TC-Companion as a back-testing tool with two caveats. First you need to be pretty good at PCF-eze and second your system must not depend on the Worden proprietary indicators as it will not calculate them. But the real reason for my post is this - as someone who has hand-tested numerous systems and has gone through the process you describe in real-time as a way to gauge the effectiveness of various approaches I would offer you a caution based on my own past stumbles. To wit: WE HAVE BEEN IN A WONDERFULLY STRONG RALLY SINCE MID-OCTOBER. ALMOST ANY ENTRY TECHNIQUE WITH THE SLIGHTEST EDGE WOULD HAVE RETURNED A LARGE PROPORTION OF WINNERS VS LOSERS OVER THE TIME PERIOD YOU HAVE TESTED. At a minimum you must test your system during some past strong downturns and combine it with some serious risk control before becoming too enamored of its potential. Good luck.
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Registered User
Joined: 11/26/2004
Posts: 68
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Gasminder,
What you say is exactly true and I am mindful of the rising market. I am waiting for a downturn to see how it behaves. Even in such a market I did not expect 72-2. As always the number one rule of investing is: Protect your capital. I have strict rules about entry and exit and do not vary. However for all who trade and test we are well aware of how the mind bends when we shift from computer paper to Federal Note paper. I have done it more than once but I remain astonished at how much of a psychological load it instantly becomes. I believe I have made it plain that this is paper research for the most part but there have been several real trades. PFE is the first real trade to lose but I expect PFE will be receiving callers in the not distant future. In any event thanks for the reminder. It is a note that cannot be oversounded.
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Registered User
Joined: 11/26/2004
Posts: 68
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Gasminder,
I have done some backtesting (by hand, eye, and calculator) on the first 119 stocks in my watchlist (A-BA) over the timeframe of Jan 1,200 - present (actually the work I have done so far goes up to about mid November). This is what I found.
For these 119 stocks there were 192 trades. As you may remember from an earlier post the basic premise is betting the stock will go up 5% (from entry price) before it goes down 10%. Under those conditions there were 139 wins and 53 losses. Assuming 5K trading blocks and $220 for wins and $530 for losses we end with a return of approx $21/5K investment. In my forward walk study the holding period has been about 15 days. Since the market is trending heavily in the long trader's favor I will double that to 30 days, roughly one month. That makes the annual return on the 5K about 5%- (21*12)/5K.
For a slightly different strategy with the same stock set the results are different. Instead of a target of 5%, if the target is 10% and the stop is 10% and the stop is moved to breakeven+commission when the stock hits +5% the following results would have been obtained since the year 2000.
102 wins $470/trade
53 losses ($530)/trade
37 breakeven $0/trade
The average return of 5K investment rises to $103.39. Assuming it takes twice as long to reach 10% that would be 60 days per trade. The annual return would be (103.39*6)/5K = 12%. The downside of the second system of course is that since turnover is 1/2 as often your trading account would need to be twice as great. The practical solution with the same trading capital would be to reduce your block size by 50%.
I don't know if this interest you much at all but I think my sample size (119/1081) is probably great enough to have some statistical relevance. However we have all tested systems that come alive for no explainable reason and fade likewise.
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Registered User
Joined: 11/26/2004
Posts: 68
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Just an update for those interested. Here are the totals as of Jan 1, 2005. The win-loss record now stands at 79-2 for the 5% trades and 55-2 for the 10% trades. Presently there are 18 open trades in the 5% category and 42 open trades in the 10% category.
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Registered User
Joined: 12/30/2004
Posts: 15
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Hi spab,
I've reread your posts but cannot find your sort criteria beyond your first statement: "The aim of the project was to identify (thru price action only) stocks that would go up 5% before they went down 10% from their entry price. Daily and weekly price bars were considered but never on the same stock at the same time."
Could you pls elaborate on pcf's used to do stk. selection and, if possible, the list of the stks. in win/lose list?
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Registered User
Joined: 11/26/2004
Posts: 68
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I thought I would update my results thru the end of January. To recap, my research looks for stocks that will go up 5% in price before they go down 10% from entry after the signal from my custom indicator. The indicator is a per cent true type so it either is a valid price signal or not. When the stocks are sorted I can then evaluate the true stocks further. My indicator cannot do the final analysis to see if the stock is a confirmed buy. I do not use PCFs or scans. My watchlist is composed of optionable stocks only which amounts to about 2160 presently. Any stock with a close below ten dollars is not evaluated for purchase. Since this study coincided with a 4th quarter rally in the market it has been favorable to be on the long side. However January was unkind to long positions so it allowed me to get a more objective idea of the data's value. With that in mind here are the results from the study's beginning to the present day. Closed trades for 5% study is 138 positions. Presently there have been 128 winners and 10 losers. As a corollary to the 5% study I have kept track of whether these same stocks would go up 10% before going down 10%. As a result when one of the 5% stocks hits its 5% target it was placed in a new category to see if it could achieve 10% return. The closed trades on this study are 93. Of these 79 were winners and 14 were losers. The net winnings for each strategy are as follows based on previous postings; 5% closed trades have yielded $29,357.72 (each position is $5K), the 10% closed trades have yielded $32,421.07. For those interested in January's performance I include the results for stocks closing during 2005. In the 5% study 57 stocks closed in January. There were 49 winners and 8 losers. In the 10% study 36 stocks closed in January. There were 24 winners and 12 losers.
I know this may not interest many but I will update the study every month or so. You can look in if you wish.
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Registered User
Joined: 12/31/2004
Posts: 382
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VERY VERY intersting .I'm trying too see how i can fit this in my trading frist I can only trade 5 trades at 5000 at once so i can fine 5 stock .if i fine a stock that whent up 5% percent and then 10% down then buy it and sell it when it going up 5% OR you can let it go to 10% too but you have i few more loses ...now are you taking about the end of the day ,if a stock going up 5% at the end of the dayand the next day at the end of the day its down 10% then you would buy it on the 3rd day ..its that how you do it or can you pick up a stock thats over 10 dollards stock and do it the same day..oh I'm surely not going too do this untill I try it on paper for a while see what happenns....
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Registered User
Joined: 11/26/2004
Posts: 68
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Raymond,
These are not day trades. Here is how it works: Say I get a signal that IBM has satisfied the price criteria in my indicator and after further analysis (which my indicator cannot track. I don't think it would be easily coded.) it is approved as a buy candidate. Also lets say that the stock closed that day at 54.34. For the next day (only stays in the market for one day. If it does not fill then the order is cancelled.) an order would be placed to buy 90 shares ($5000/54.25 rounded down to the nearest 5) at a limit price of 54.25. Say the stock opens at 54.21. My target would be 54.21*1.05=56.92 and my stop would be 54.21*.9=48.78. I would place an OCO (order cancel order) to sell at 56.92 or 48.78 GTC (good til cancel). The rest is just waiting for the stock to rise or fall. In terms of entry price the stock is always rounded down to the next quarter dollar. If the close is 45.20 then the limit is 45. If the price is 45.01 then the limit is 45. If the close is 45.25 then the limit is 45. That in essense is all the risk control I use in this study. Of course $5000 is quite arbitrary and it could of course be whatever a person would choose. At some point the commissions would take too much of your profits to be feasible. The average holding period is 14 calendar days. The range is from the same day to 63 calendar days. There are a few that enter and reach their goal on the same day but that is not usual.
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Registered User
Joined: 1/15/2005
Posts: 60
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Can you share your PCF and Scan, please?
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Registered User
Joined: 11/26/2004
Posts: 68
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I don't do a scan. I do an initial sort by stocks that are optionable. I put these into a new watchlist and this becomes my stock universe. I do not use a PCF at any step in the process. I use Telechart's custom indicator to do the initial filter of the possible signals for the day. I will not include that filter here because I don't want someone to use the research to actually trade. I don't want to be seen as giving trading advice. However, if you want to see the research I have done send me your email address and I will send you an Excel spreadsheet (Excel 2003 I believe)that shows every trade that has taken place since the project began in Oct 04. Just so you know, I will not charge for this nor offer you any inducement to send me money. After that point I will explain some of the details of the study if you remain interested (no charge). It will be useful if you use Telechart. It will make looking at the trades much easier. My email is (removed by Moderator)
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Registered User
Joined: 11/23/2004
Posts: 11
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to lend credibility to your system AND hold your own feet to your well stoked fire you should post your real time trade entries as they occur as well as your real time exits. This was important even to us early board-birds back on the Prodigy service using 300 baud modems with 8086 processors to compute and post with in 1992 era.
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Registered User
Joined: 1/15/2005
Posts: 60
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Looks like spab email was removed. Is there a way, I can send him a private message?
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Registered User
Joined: 11/26/2004
Posts: 68
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That is what appears on my spreadsheet. Just for today the follwing stocks have valid signals. There were 23 valid signals after Friday's close. I will give you the first 10 from the sort list. Watch them and see what happens. All the trades have been real-time forward trades. I can't get you the spreadsheet because it is against the policy of Worden to give out email addresses. One fellow did get the spreadsheet before the email address was removed. He is an independent observer. Maybe he will have something to say later. Here they are: LDG, FOE, STK, ORCL, APPX, CSK, BBBY, CHKP, CEN, PLCM. Those are stocks that are to be entered today according to the protocol. This note is being written at 8:59am EST 30 minutes before the market opens. These stocks were selected by the research protocol using Telechart software based on daily and weekly(5 day) price bars.
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Registered User
Joined: 11/13/2004
Posts: 141
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Quote Spab
""after the signal from my custom indicator. The indicator is a per cent true type so it either is a valid price signal or not. When the stocks are sorted I can then evaluate the true stocks further. My indicator cannot do the final analysis to see if the stock is a confirmed buy. I do not use PCFs or scans""
You mention you do not use any PCFs, but then you make a reference to a custom Percent true indicator that you use. How do you create a custom indicator that uses percent true without using a PCF?
Also
I created an easy scan using the basic criteria you described in your post above
It includes
All stocks,
Optional = True
Price Per share, Value equals, > 10.00 and < 50.00
Today this scan returns 1467 results.
How do go about whittling this many results down to approximately 100 possible candidates for your watch list, and then further reduce that down to a couple dozen valid signals that you will actually buy. Surely there is more selection criteria involved.
I don’t mean to be critical, but I get the feeling there is a lot more to this trading system than what you are willing to share, unfortunately this means the results that your spread sheets show cannot be validated as we don’t have any idea of how your "valid signal" is generated
UserTM
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Registered User
Joined: 11/26/2004
Posts: 68
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UserTM
Let me answer one at a time.
First you can create a custom indicator by adding an indicator from the menu as a per cent true. then just add the formula.
Second I have 2159 stocks in my watchlist. I just took all stocks and sorted them by whether they had options. Some I deleted because they were not trading or they were sector funds and such that I got down to the present level. I am sure you could use the 500 or some other list. The particular stocks are not the issue. I used optionable stocks because one part of my research is to see if using LEAPS (about 650 stocks) can be used to increase the return. I have not looked at that aspect at this point other than in a limited way.
One of the problems of this research is that it chooses so many stocks that no reasonable portfolio could take all trades. That is one of the things that I am trying to do- namely to make the selection process more precise without decreasing profitability greatly.
You are right, there is more to the selection process than simply the indicator but it requires some drawn out explanations that would take too much time in this forum. I thought by giving the spreadsheet of filtered stocks to interested individuals they might be able to see something that I have not. That is why I was going to pass out the spreadsheet to those people so they could see every signal, every stock, and every result. That was it.
as to the stocks that I mentioned for today here is what happened.
LDG entered at 26 with a target of 27.30 and a stop of 23.40
FOE entered at 19.25 target 20.21 stop 17.33
STK no fill
ORCL entered at 13.25 target 13.91 stop 11.93
APPX entered at 46.14 target 48.45 stop 41.53
CSK entered at 21.5 target 22.58 stop 19.35
BBBY entered at 39.25 target 41.21 stop 35.33
CHKP no fill
CEN entered at 16.96 target 17.81 stop 15.26
PLCM entered at 16.5 target 17.33 stop 14.85
That is the present situation.
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Registered User
Joined: 11/13/2004
Posts: 141
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Let me answer one at a time.
First you can create a custom indicator by adding an indicator from the menu as a per cent true. then just add the formula.
Can you share this formula? Your formula is a PCF.
It would help explain to us how you initially narrow down your list
One of the problems of this research is that it chooses so many stocks that no reasonable portfolio could take all trades. That is one of the things that I am trying to do- namely to make the selection process more precise without decreasing profitability greatly.
We could help with this if we new more about your selection process
You are right, there is more to the selection process than simply the indicator but it requires some drawn out explanations that would take too much time in this forum. I thought by giving the spreadsheet of filtered stocks to interested individuals they might be able to see something that I have not. That is why I was going to pass out the spreadsheet to those people so they could see every signal, every stock, and every result. That was it.
We have plenty of time on this board, but if we don't know anything about the selection process of the signal you use, we dont know what to look for.
Sincerely
UserTM
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Registered User
Joined: 11/26/2004
Posts: 68
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User,
Here is the deal. I have a spreadsheet available that has every signal, every trade, every result, every date. The research began on Oct 15, 2004 and continues to the present. No exceptions other than error thru oversight while doing the work. I can't get it to you because Worden does not permit(which I really have no problem with)the exchange of information by email. For all you know I am a con man waiting to sell you a system to make you rich in three easy steps. For all I know you are trolling for customers or "deals" to package and sell. That is the problem- we can't verify legitimate interest or ideas. I have no strategy on how to solve that dilemma. It is what it is. What I can do is report what my research shows and invite comment that is necessarily limited by the format. If you are an experienced investor or trader with a good knowledge of technical terms and approaches I could explain the rules behind my signals in a two hour phone call. Most of that two hours would be taken up with defining terms and going over chart examples. I can say this- it does not involve art, that is to say that once you understand the methodology you will get the same signals I get 100% of the time. It is completely objective. The technique is complex and is best taught by chart examples because price bars vary enough that it is relatively common to encounter interpretive problems with the rules. However I state again that when the rules are understood we would come to the same conclusion.
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Registered User
Joined: 11/13/2004
Posts: 141
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Spab
For all you know I am a con man waiting to sell you a system to make you rich in three easy steps. For all I know you are trolling for customers or "deals" to package and sell.
To that I agree, but the purpose of this board "is" to share information and exchange Ideas, If you can’t give any information about the selection process you use or how your signals are generated, or what indicators you use when looking at your charts. I am not sure how you expect to get the help you say you want improving your system
For your signals, are you using a Stochastics cross-over or something else?
You mentioned using chart examples, Those would also be helpful and you can post those here if you like
To post a chart as a picture on this board just follow these instructions
1. On your computer with your chart open press the “ALT” key and the “Print-Screen” key at the same time. This will copy a picture of your chart program on the Windows clipboard.
2. Go to, Start > Programs > Accessories > Paint
3. In the Paint program click, Edit > Paste. A picture of your chart should appear in the Paste program
4. Go to, File > Save As. In the “Save In” box, click on the drop down arrow and choose “Desktop”. At the bottom of the window change the “Save As Type” to “JPEG”, then click “Save”. You should now have your chart saved as a picture
If you have not already done so, go out to the Internet and register with a free photo storage site to store your pictures on the internet. I use www.photobucket.com. You can also search the internet for “Free photo storage” You should come up with a list of other free file storage servers you can use
5. Upload your picture to the photo storage server. The storage server will then provide you with an image link that you can then include on your post on the Worden message board using the Image tags
When done it should look something like this
Right click on this picture to see how the link looks
 .
UserTM
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Registered User
Joined: 11/26/2004
Posts: 68
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User
I will try to upload a chart sometime in the next day or so. I will use PCLN. It gave a indicator signal on the daily chart for the following dates:
1/6/05 and again on 2/11/05. The one in January was not valid but the one in Feb was. As you can see if you look at the chart on your own system, PCLN has already hit its 5% target and the new target is 23.38 (10%). All my chart will show is the two dates that the indicator was true and the price bars. The chart will show two moving averages but they have no part in the evaluation of the signal, they are just there to see if they might be useful to filter down the number of valid signals to a manageable portfolio. I haven't done that aspect of the research yet.
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Registered User
Joined: 11/26/2004
Posts: 68
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Today CEN and APPX hit their 5% target. APPX went on and hit its 10% target.
CEN now has been moved to the 10% trades with a new target of 18.66 and stop at 15.26.
After today's trading 3 of the 8 positions entered on Monday have now reached their 5% target and 1 has reached 10% target. Recall that 2 of the 10 positions I gave for entry on Monday did not fill so there were only 8 open positions. That is how the protocol works. After entering a position you just wait for the price to hit the target or the stop.
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Registered User
Joined: 11/26/2004
Posts: 68
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PCLN hit its 10% target today.
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Registered User
Joined: 11/26/2004
Posts: 68
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LDG hit its 5% target today.
New 10% target is 28.60 stop is 23.40
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Registered User
Joined: 11/23/2004
Posts: 11
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so, does one take profit at 5%, or let 'er ride with a trailing stop, some stocks have been known to go up 7 % before collapsing (at least in my experiences)
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Registered User
Joined: 12/7/2004
Posts: 6
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Can you elaborate on the specific protocol you use to make your initial picks. Just how did you come up with the stocks that you used in your 2/14 posting. What "filters" do you use besides optional stocks. What tech. indicators are used to determine a 5%. Your postings are interesting but very confusing as to how you determine the individual stocks and entry points.
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Registered User
Joined: 2/24/2005
Posts: 4
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HI, I JUST DOWNLOADED THIS NEW FORMAT AND FOUND YOUR COMMENTS INTERESTING.
WOULD YOU BE GOOD ENOUGH TO LET ME KNOW IF I HAVE A CORRECT UNDERSTANDING OF WHAT YOU ARE DOING??
YOUR OBJECTIVE IS TO DETERMINE (OF THE STOCKS THAT ARE CHOOSEN FROM YOUR CRITERIA), HOW MANY OF THEM WILL FIRST GO UP IN PRICE BY %5 BEFORE THEY GO DOWN IN PRICE BY 10%.
IS THIS CORRECT??? IF IT IS THEN TO WHAT PRICE DOES THE PERCENTAGES APPLY? FOR EXAMPLE, IF YOU ARE WORKING WITH A $100.00 STOCK, YOU WOULD FIRST SEE IF IT WOULD GO TO $105.00 RIGHT? AND THEN GO TO $90.00 OR $94.50?? RIGHT?
I'M KIND OF SLOW, SO AGAIN, IF YOU CAN EXPRESS THIS IN PLAIN ENGLISH I WOULD MUCHLY APPRECIATE. THANKS.
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Registered User
Joined: 11/26/2004
Posts: 68
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Pritchard
The study has two modules. One follows the stock until it reaches a 5% profit. The second follows the same stock from the same entry to see if it can reach a 10% profit. Profit or loss is determined from the fill price of the stock on entry. Thus if you purchased a stock at 20 dollars per share the target would be $21 (5%) with a stop of $18 (-10%)for the 5% module. The target would be $22 (10%) with a stop at $18 (-10%) for the 10% module. How you managed the trade in a real portfolio would depend on your preference. For the purpose of the study the trade is considered over after the objective or the stop is triggered.
JFCDC
If you read over some of my previous posts you should get a fair idea of the protocol of how the research manages actual trading in terms of fills, targets, and stops. As to how the stocks are selected here is a summary. I do not use any calculated technical indicator such as moving avg, stochastics, ADX, momentum, or any other indicator that yu can name. The only data I use is the daily or the 5 day price bars and the pattern of these bars in relation to one another. In the Telechart menu is Chart Template. If you click on that and choose ADD INDICATOR you will be given a menu choice labelled PER CENT TRUE. You may enter any formula that Telechart recognizes and have your watchlist sorted by whether that indicator is 100% (true) or 0% (false). Tonight (Fri 2/25/05)for example there were 8 stocks that were true on the daily chart. They were AMG, CPRT, ZION, PBI, NCOG, INTL, HIW, TJX. That was step one in the selection process. The second step is looking at the price bars in relationship and can not be reduced to a formula but can none the less be objectively selected or rejected by following a list of precise rules. Of those eight stocks only 2 proved to be candidates for trade entry on Monday. Those two are NCOG and INTL. I repeat the same process with 5 day bars to get a set of weekly stocks that are true. Tonight (Fri 2/25/05) there were 9 stocks that were selected in step one, GPS, KSS, FOE, PRX, CNF, ABRX, LEG, ALKS, ADP. Step two reduced the number of tradable stocks to one, ALKS. That is the selection process. Trading the stocks is described in several of the posts above.
Timothy8502
You understand the objective well. The price to which the percentages apply is the fill price when the stocks are bought. The stop is always 10% below the fill price and the target is either 5% or 10% above the fill price. See the comments to Pritchard earlier in this post.
This project first began choosing stocks on Oct 15, 2004 and has followed these stocks every market day since and recorded the results of all valid signals. As of tonight, there are 221 closed 5% trades and 101 open 5% trades. Of the 221 closed trades 16 lost 10% without ever reaching 5% above entry price. That is 7%. There are 164 closed 10% trades and 62 open 10% trades. Of the 164 closed trades 25 lost 10% without ever reaching 10% above entry price. That is 15%. The average 5% trade is in the market for 15 calendar days, the range being 0 to 108 days. The average 10% trade is in the market for 27 calendar days, the range being 0 to 122 days. The length of the research project has been a total of 130 calendar days to this point.
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Registered User
Joined: 12/7/2004
Posts: 6
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Spab,
Well as suggested, I went back and read every post on your topic (several times) I guess I just don't get what you are trying to explain. It sounds very interesting, I just can't understand how or what you are using to INITIALLY enter the stock. There is obviously more to these selections besides optional stocks that rise 5% before falling 10%. By this criteria alone it seems that just about every stock of the 2000+ optional stocks have done that at one time or another. You have mentioned a spread sheet. I wish that you could post this sheet with a little more of an explaination. There is obviously a key (if not several) other components that are missing to this puzzle. In any event, I wish you well in your research.
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Registered User
Joined: 11/26/2004
Posts: 68
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JFCDC
The purpose of the study is to identify in advance a stock that will rise 5% above your entry price before it falls to 10% below your entry price. Like all investing I am trying to pick stocks that will move in the desired direction. The investing style is to make quick small but worthwhile gains. It is obviously a trading philosophy not an investing philosophy. As I mentioned the stocks that have been selected either reach their goal (93%) or are stopped out on average 15 calendar days after entry. Of course that means that the same money can be invested 25 times every year. Thus if you were perfect the following scenario would be play out: Assuming you invested 5000 per trade and lost 530 for every loser (7% of the time) and you made 220 for every winner (93% of the time) the following results would approximate your account. Please don't overly criticise the numbers because I know that real results are subject to gaps and unexpected losses that can't be predicted. This is just an ideal model. 93% of 26 trades would be 23 winning trades. That would yield 24* 220 = 5060. 7% of 25 trades will give you 2 losing trades for a total loss of 2*530 = 1060. Thus net income would be 5060-1060 = 4000. The return on the money would then be 4000/5000 = 80%. That of course is the theoretical expectation not the likely outcome. My historical study (that means trades that would have been made but merely hypothetical since I did not pick these in advance) from 2000-2004 showed average annual returns in the 11% range. That is a big difference. Actual results would then see a floor of 11% and a ceiling of 80% on a large number of 5000 dollar blocks over time.
My research interest is to find a signal that would predict the stocks that would rise 5%. The signal that I am presently testing (since Oct 04) has yielded the results that I have been talking about in these posts.
The information is hard to synthesize because it is fairly sophisticated in the application of its rules but its intriguing in its walk forward results. As I have mentioned in a number of posts it was my intention to make the entire results of the study available to those interested but my previous attempt fell afoul of the discussion rules so I am stuck.
The criteria used to select candidates to trade is not that they have gone up 5% before they fall 10%. That is the intended result. The criteria is price and the pattern of price distribution immediately (usually price action within the previous month for daily signals and within the previous 4-6 months for weekly signals) prior to entry. That is what the per cent true indicator sorts out and then the Step Two rules confirm or reject.
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Registered User
Joined: 1/29/2005
Posts: 6
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spab,
nice project ! I like your style of trading and with the actual results it looks like "stress free" trading.
What will you do in the next future?
Will you post the calculation of your indicator and the "second step : a list of precise rules" ?
DorisD
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Registered User
Joined: 11/26/2004
Posts: 68
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DorisD
The second step rules are best passed on one to one while looking at chart examples. It helps to get immediate feedback, the kind that is best achieved either in a personal gathering or over the phone. Just as a way to illustrate recall my post from Sat 2-26. I listed eight stocks that gave a step one signal on daily price bars on Friday the 25th, AMG, CPRT, ZION, PBI, NCOG, INTL, HIW, TJX. Step two reduced the eight to NCOG and INTL. Of those two only NCOG filled on Monday. INTL did not fall to the limit price and thus did not turn into an research trade. NCOG filled at 20.84 on the open. It's target is 21.88. The stop is 18.76. On Monday its high was 21.35 and the low was 20.02. Today it was 20.56 to 20.10. So at this point the trade has been open for two days with no real move one way or the other. If you have Telechart make a watchlist with the eight stocks I mentioned and look at the daily price data for last Friday. That will give you some idea of the discrimination of Step two rules. If we went over those eight stocks I could point out why NCOG was acceptable and ZION wasn't. That is the part that is impossible to pass on in this forum. UserTM tried to show me how to post charts but my efforts have not been successful. Also I don't want to bore those who have no interest in the study so I am trying to answer questions without being too vague. To this point it has been singularly unsuccessful.
Just as an update for the end of the month here are the total results since the beginning of the study (Oct 15,04 was the first date signals were taken) thru the end of February.
5% trades: 226 trades closed 208 wins, 18 losses, 15 calendar days for an average trade.
10% trades: 167 trades closed 140 wins, 27 losses, 28 calendar days for an average trade
Feb results
5% trades: 88 trades closed 80 wins, 8 losses
10% trades: 77 trades closed 64 wins, 13 losses
I don't know how you would characterize Feb market conditions but it seemed to go back and forth. Just remember that these were trades that closed in Feb. Some had been in the market since Nov. The activity only reflects closing a trade, not opening and closing a trade.
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Registered User
Joined: 11/13/2004
Posts: 141
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Spab,
I think I have at least part of it figured out
Look at this list I selected on Tuesday 03/01/05
Do any of these stocks meet the criteria for at least the percent true portion of your trading system as explained above?
HU, IM, BLTI, ULGX, AXCA, GTK, EPIQ, SNPS, HLF
I won't share what I think I know about this, but if I am on track with these then perhaps I can work with you from here on refining the system
Also, since you are working with optionable stocks, are you checking other web sites for option information such as open interest, or do you confine your selection process strictly to TC2000?
UserTM
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Registered User
Joined: 11/26/2004
Posts: 68
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UserTM
I am using only TC2000 at present. There were two reasons I chose option stocks. I wanted to reduce the universe of stocks to a more manageable level. Secondly, because the 5% target is so small compared to commissions, I wanted to see if it would be better from a trading standpoint to buy LEAPS instead of the actual stock. Then when the underlying reached its 5% target the option could be sold usually for a profit of 5-50%. The downside of course is that when you lose you lose big as well. It is harder to hang on to a losing option than a stock I find. In any event I haven't focused on that aspect of the research yet.
Now as to your picks: These are all off daily price bars.
HU did not signal last night. The last signal for this stock was on 10/21/04. It passed Step One but failed Step Two on that date.
IM did not signal last night. The last signal for this stock was 4/19/04. It passed both steps and filled the next day but was a loser when it gapped down a few days later.
BLTI did signal last night but it failed Step Two.
ULGX did not signal last night but only because its close was less than 10 dollars. It would have failed Step Two however.
AXCA did not signal last night. The last signal for this stock was 12/6/04. That was a valid signal that was not entered because it did not fall to the limit price of 17.5 the next day. Too bad it would have been a winner.
GTK did not signal last night. The last signal was 7/20/04 but it did not pass Step Two.
EPIQ did not signal last night. The last signal was 9/23/04 but it did not pass Step Two.
SNPS did signal last night but failed Step Two.
HLF did not signal last night. It has never had a signal in its short price history.
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Registered User
Joined: 1/29/2005
Posts: 6
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spab
what about these stocks ?
FLSH, NTMD, HSII, GGP, JNY, DCN, IMDC, MMSI, DUSA and BAX
DorisD
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Registered User
Joined: 11/26/2004
Posts: 68
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DorisD
FLSH did not signal last night. Last signal was 10/12/04. Did not pass Step Two
NTMD did not signal last night. There have been no signals in the price history I have back to Dec 03.
HSII did not signal last night. Last signal was 12/9/04. Did not pass Step Two.
GGP did not signal last night. Last signal was 1/15/03. It was a valid stock that would have entered at 16.25 on 1/16/03 and hit its 5% target on 2/5/03 and its 10% target on 3/18/03.
JNY did signal last night and entered today at 32.95 on the open.
DCN did not signal last night. Last signal was 2/11/05 which was not a valid trade. The signal before that was 1/26/05 and was entered and just hit its 10% loss yesterday.
IMDC did not signal last night. The last signal was 1/10/02 which was a valid signal. The stock hit its 5% target on 1/19/02 and 10% 1/26/02.
MMSI did not signal last night. The last signal was 2/8/05. It failed Step two
DUSA did not signal last night. The last signal was 2/16/05. Failed step two.
BAX did not signal last night. Last signal was 9/28/04. Failed step two
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